My main research interests are:
☞ Financial regulation
☞ Corporate control
☞ Risk management
☞ Asset pricing
☞ Asset Management
Working
papers:
Firms
vs. Insiders as Traders of Last Resort
(with José M. Marín)
November, 2006
Abstract:
We explore the role of corporate insiders vs. firms as
traders of last resort. We develop a simple model of
insider trading in which insiders provide price support, as
well as liquidity, in security markets. Consistent with the
model predictions we find that in the US markets insiders'
trading activities have a clear impact on return
distributions. Furthermore, we provide empirical evidence
on insiders transactions and firm transactions affecting
returns in a different manner. In particular, while
insiders' transactions (both purchases and sales) have a
strong impact on skewness in the short run and to a lesser
extent in short run volatility, company repurchases only
have a clear impact on volatility, both in the short and
the long run. We provide explanations for this asymmetry.
Available
at SSRN:
http://ssrn.com/abstract=945193
Ownership Dynamics
with Multiple Insiders: The case of REITs
(with Robert H. Edelstein,
Branko Urošević, and Nicholas Wonder)
December, 2006
Abstract:
We study ownership dynamics of multiple strategic
risk-averse insiders facing a moral hazard problem. We show
that, when insiders cannot commit, ex-ante, to an ownership
policy, the aggregate insider stake gradually declines
towards the competitive allocation. Moreover, both the
speed of decline and the long-term equilibrium aggregate
insider ownership level are greater for companies with a
higher number of insiders, ceteris paribus. We, then, test
the model on data from the U.S. Real Estate Investment
Trusts (REITs) industry and find that the predictions of
the model are supported by the data.
Available under request.
The
optimal insider trading regulation when managers choose
effort
Available soon.
More details about my research on my Research Statement
(not available yet). My cv is available here.
